TradingView Stuff

Contains my TradingView Indicators and Strategies.

Quick Start

Create a concrete pine script which u can back-test in TradingView with:

make pine

Indicators

Name	Path	Descrption
FTX Premium Indicator	./indicators/ftx_premium.pine	Shows the relative price difference between Future and Spot markets on FTX. Useful for delta neutral trading

Strategies

Name	Template Path	Descrption
Bollinger Bands	./strategies/bb.envsubst.pine	Super-configurable Bollinger Bands strategy template

Templates

To generate a concrete pine script, which you can use in TradingView:

make ENV=example/ema.env pine

Parameters

The below parameters are used in the ema.env template.

Name	Default	Description
BACKTEST_END	'2022-04-01T00:00:00'	See separate chapter about this below.
CHART_TICKERID	'60'	The ticker to use in the strategy, e.g. 'FTX:BTCPERP'
CHART_TIMEFRAME	'FTX:BTCPERP'	The candlestick resolution, e.g. 60s.
COMMISSION_PERCENT	0.07	Cost of trades at exchange
DEV_MODE	true	Toggle development mode
INITIAL_CAPITAL	1000	Start capital for the strategy
LONG_TRADES	true	Whether to enable long (buying) trades
PYRAMIDING	1	Maximum number of entries allowed in the same direction.
QTY_TYPE	strategy.cash	Determines what the value used in the QTY_VALUE parameter represents. Possible values are: strategy.fixed, strategy.cash, and strategy.percent_of_equity
QTY_VALUE	100	The quantity of QTY_TYPE to trade
SHORT_TITLE	'BBS'	Strategy title visible on chart
SHORT_TRADES	true	Whether to enable short (selling) trades
STOP_LOSS_PERCENT	100	When to close a loosing position.
TITLE	'Bollinger Bands Strategy'	Strategy title
TAKE_PROFIT_PERCENT	100	When to close a winning position.
Bollinger Bands common configuration
ALMA_OFFSET	0.85	Arnoud Legoux Moving Average offset parameter. Controls tradeoff between smoothness (closer to 1) and responsiveness (closer to 0).
ALMA_SIGMA	6	Changes the smoothness of ALMA. The larger sigma the smoother ALMA.
DEV_TYPE	'STD'	How to calculate the Bollinger Band, i.e. using standard deviation or absolute deviation.
DEV_SCALE	2	Deviation factor to use when calculating the Bollinger Band.
MA_TYPE	'EMA'	Moving Average type, e.g. SMA, EMA, ALMA, etc.
MA_SOURCE		The source input to use for MA, e.g. low, high, close, ohlc4, etc.
MA_LENGTH	9	Number of candle sticks to include in calculation
SOURCE	close	The source input to use in the strategy, e.g. low, high, close, ohlc4, etc.
VAMA_FAST_LENGTH	3	Length of fast period in Volatility Adjusted Moving Average.
VAMA_WEIGHT	0.2	VAMA weight factor.
Lower Band configuration
LB_ALMA_OFFSET	ALMA_OFFSET	Overrides ALMA_OFFSET.
LB_ALMA_SIGMA	ALMA_SIGMA	Overrides ALMA_SIGMA.
LB_DEV_TYPE	DEV_TYPE	Overrides DEV_TYPE.
LB_DEV_SOURCE	LB_MA_SOURCE	Overrides LB_MA_SOURCE.
LB_DEV_LENGTH	LB_MA_LENGTH	Overrides LB_MA_LENGTH.
LB_DEV_SCALE	DEV_SCALE	Overrides DEV_SCALE.
LB_LONG_SOURCE	SOURCE	Overrides SOURCE.
LB_LONG_STRATEGY	'Price x-under MA'	The trigger for long entries.
LB_MA_LENGTH	MA_LENGTH	Overrides MA_LENGTH.
LB_MA_SOURCE	MA_SOURCE	Overrides MA_SOURCE.
LB_MA_TYPE	MA_TYPE	Overrides MA_TYPE.
LB_VAMA_FAST_LENGTH	VAMA_FAST_LENGTH	Overrides VAMA_FAST_LENGTH.
LB_VAMA_WEIGHT	VAMA_WEIGHT	Overrides VAMA_WEIGHT.
Long position confirmation configuration
LONG_CONFIRMATION	'Disabled'	Enables confirmation of long positions based on selected method, e.g. RSI
LONG_CONFIRMATION_SOURCE	ohlc4	The source input to use, e.g. low, high, close, ohlc4, etc.
LONG_CONFIRMATION_LENGTH	10	Number of candle sticks to include in calculation
LONG_CONFIRMATION_LIMIT	30	Limit that needs to be crossed down to confirm long position
Upper Band configuration
UB_ALMA_OFFSET	ALMA_OFFSET	Overrides ALMA_OFFSET.
UB_ALMA_SIGMA	ALMA_SIGMA	Overrides ALMA_SIGMA.
UB_DEV_TYPE	DEV_TYPE	Overrides DEV_TYPE.
UB_DEV_SOURCE	UB_MA_SOURCE	Overrides UB_MA_SOURCE.
UB_DEV_LENGTH	UB_MA_LENGTH	Overrides UB_MA_LENGTH.
UB_DEV_SCALE	DEV_SCALE	Overrides DEV_SCALE.
UB_LONG_SOURCE	SOURCE	Overrides SOURCE.
UB_LONG_STRATEGY	'Price x-under MA'	The trigger for long entries.
UB_MA_LENGTH	MA_LENGTH	Overrides MA_LENGTH.
UB_MA_SOURCE	MA_SOURCE	Overrides MA_SOURCE.
UB_MA_TYPE	MA_TYPE	Overrides MA_TYPE.
UB_VAMA_FAST_LENGTH	VAMA_FAST_LENGTH	Overrides VAMA_FAST_LENGTH.
UB_VAMA_WEIGHT	VAMA_WEIGHT	Overrides VAMA_WEIGHT.
Short position confirmation configuration
SHORT_CONFIRMATION	'Disabled'	Enables confirmation of short positions based on selected method, e.g. RSI
SHORT_CONFIRMATION_SOURCE	ohlc4	The source input to use, e.g. low, high, close, ohlc4, etc.
SHORT_CONFIRMATION_LENGTH	10	Number of candle sticks to include in calculation
SHORT_CONFIRMATION_LIMIT	70	Limit that needs to be crossed up to confirm short position
Pyramiding related configuration
PYRAMIDING_REBUY_RESISTANCE	0.01	(avg. position price / LB_LONG_SOURCE price) >= PYRAMIDING_REBUY_RESISTANCE before considering to open new long-position.
PYRAMIDING_REBUY_USE_POS_AVG_PRICE	true	When considering to rebuy use the open position's average price instead of the last opened position.
PYRAMIDING_IRREDUCIBLE_POSITIONS	100	Number of position to keep open for profit, the rest will be closed at beak-event to protect bot from long downtrends. Set to >= PYRAMIDING to disable.
BARS_LIMIT	1000	Number of bars allowed in a trade
BARS_LIMIT_BREAK_EVEN	false	Wait for a break-even (or profitable) position before closing
Trailing Stop Loss configuration
TSL_TYPE	'ATR'	Trailing stop loss type, i.e. how the trailing stop loss is calculated. Options are Average True Range (ATR) and Percent.
TSL_SOURCE	close
TSL_CLOSE_LONG_SOURCE	low	The source to compare with in order to trigger the stop loss for longs.
TSL_CLOSE_SHORT_SOURCE	high	The source to compare with in order to trigger the stop loss for shorts.
TSL_PERCENT	18	Percent to use when Percent is selected as trailing stop loss type.
TSL_ATR_LENGTH	100	Number of bars when calculating Average True Range. Used when ATR is selected as trailing stop loss type.
TSL_ATR_MULTIPLIER	16	Multiplier, i.e., number of ATRs to use when calculating the trailing stop loss. Used when ATR is selected as trailing stop loss type.
Input configuration
LB_ALMA_INPUT_PREFIX	hidden_input_	Set to input. if you want the args to show up in the configuration (Inputs tab).
UB_ALMA_INPUT_PREFIX	hidden_input_	Set to input. if you want the args to show up in the configuration (Inputs tab).
LB_VAMA_INPUT_PREFIX	hidden_input_	Set to input. if you want the args to show up in the configuration (Inputs tab).
UB_VAMA_INPUT_PREFIX	hidden_input_	Set to input. if you want the args to show up in the configuration (Inputs tab).
SC_ALMA_INPUT_PREFIX	input.	Set to hidden_input_ if you want the args to be hidden in the configuration (Inputs tab).
LC_ALMA_INPUT_PREFIX	input.	Set to hidden_input_ if you want the args to be hidden in the configuration (Inputs tab).
SC_VAMA_INPUT_PREFIX	hidden_input_	Set to input. if you want the args to show up in the configuration (Inputs tab).
LC_VAMA_INPUT_PREFIX	hidden_input_	Set to input. if you want the args to show up in the configuration (Inputs tab).
UI configuration
SHOW_INFO_BOX	false	Show/hide information box about the strategy performance. When set to false, info is instead in the ⓘ tooltip.
SHOW_SIGNAL_MARKERS	false	Show/hide yellow dots below/above chart, marking where price crossed upper/lower band.

Back-testing and Forward-testing

Inspired by this article and according to industry best-practices in training neural networks, a good Bot should perform equally well on both new and old data sets. The opposite - a "bad" BOT - usually perfoms perfectly on the backtested data but fails miserable in real trades. This phenomenon is known as ovefitting in Machine Learning.

This Bot supports both back-testing and forward-testing to minimise overfitting.

Back-testing is enabled with DEV_MODE=true. The absolute time when back-testing ends is controlled through BACKTEST_END.

Forward-testing is enabled with DEV_MODE=false. The absolute time when forward-testing starts is controlled through BACKTEST_END.

It is recommended to select BACKTEST_END so that your forward test period is at least 30% of your backtest period.

Example: if 100 trades are made during back-testing, you should pick BACKTEST_END so that you get 30 or more trades.

What is FTX?

My favorite crypto trading platform. Want to try? Use my referral to get a 5% discount whe u sign up.

Roadmap

• 0.1.0: Symmetric Bot: some buy/sell config same (e.g. choice of MA)
• 0.2.0: Fully Asymetric Bot: buy/sell config completely unrelated
• 0.2.0: Improved UX: Rework and document the Inputs